This place is a gem. I'm now living in Boston and we've struggled to find a good place to go for comedy. We've visited NYC and tried a few there and everything fails to meet our expectations after going to college in Madison.
Comedy Club on State is by-far the best stand-up comedy club I've ever gone to. Comedians are excellent. It's in a great space with very comfortable seating. Big drink selection with excellent service. The waitresses come by the perfect amount of times and somehow manage to not interrupt your enjoyment of the show.
I've only attended for their main stage shows, so I don't have any feedback on the other acts they host during the week.
We'll be going to Comedy Club on State every time we visit Madison. My favorite show was one year when we went to a women's night with all female comedians. That was very fun and different! For the first time, there was some humor that I got that my boyfriend didn't rather than the other way around. :)